A new applet which implements the Black-Litterman model

A new paper on the Black-Litterman Model (Updated May 2nd)


On this page I'm going to provide a list of papers that I've found most interesting. Many of these show up as the references for features in my various programs.

Optimal Estimation for Economic Gains: Portfolio Choice with Parameter Uncertainty by Kan and Zhou is a good summary of the various techniques to deal with parameter uncertainty through shrinkage like approaches. I implemented the Bayes-Stein shrinkage from this paper, and it didn't make too much difference for the data I was using, but I haven't confirmed that I actually built it properly.


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